This paper derives an extended version of the Haff or, more
appropriately, Stein-Haff identity for an elliptically contoured distribution
(ECD) . This identity is then used to show that the minimax estimators of the
covariance matrix obtained under normal models remain robust under the ECD
model.
Publié le : 1999-04-14
Classification:
Elliptically contoured distribution,
robustness of improvement,
multivariate linear model,
covariance matrix,
statistical decision theory,
shrinkage estimation.,
62H12,
62F11
@article{1018031209,
author = {Kubokawa, T. and Srivastava, M. S.},
title = {Robust improvement in estimation of a covariance matrix in an
elliptically contoured distribution},
journal = {Ann. Statist.},
volume = {27},
number = {4},
year = {1999},
pages = { 600-609},
language = {en},
url = {http://dml.mathdoc.fr/item/1018031209}
}
Kubokawa, T.; Srivastava, M. S. Robust improvement in estimation of a covariance matrix in an
elliptically contoured distribution. Ann. Statist., Tome 27 (1999) no. 4, pp. 600-609. http://gdmltest.u-ga.fr/item/1018031209/